structural parameters of interest, such as supply and demand elasticises. Our model incorporates both the futures-spot price … structural shock that we label expectational shock. This shock plays a crucial role when describing the series of events that …

consumption demand shocks and, to a lesser extent, to oil and gas supply shocks. …

and stochastic shock volatility. The first policy regime responds passively to movements in inflation, adjusting the …

We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … structural VAR models, one for each oil price shock. Identification is achieved by assuming that the price of crude oil reacts to …